There are a few different ways -- I'll just list a couple.
- Convert your object to an editable poly (or you can use the edit poly modifier in max 7). Then repeatedly cut from edge to edge around the hole you want to make. This is probably the hardest method, but it is the most reliable. Be extra careful if you're planning to meshsmooth.
- Depending on the location of the hole, you might be able to use a slice modifier.
- If you're getting desperate, go ahead an use a subtractive boolean, but I wouldn't recommend it.